GOOGL Options History — January 2016

In January 2016, GOOGL traded between $35.49 and $38.10. ATM implied volatility averaged 38.3%, placing in the 91.3% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 12.0% (HV 20d: 26.3%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.05.

Notable Days

  • 2016-01-15: Highest Volume — 1,445,740 contracts
  • 2016-01-13: Largest IV spike — 14.0% change
  • 2016-01-13: Highest IV Rank — 100.0%
  • 2016-01-27: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.83$35.49$38.10$37.90$37.71
Max Pain$37.39$37.00$38.00$38.00$37.00
ATM IV38.3%35.4%40.6%37.1%36.6%
Expected Move10.7%9.4%12.2%9.4%11.6%
HV 20d26.3%21.3%32.5%21.8%32.5%
HV 60d23.5%21.9%25.0%22.8%24.1%
IV Rank91.3%80.1%100.0%87.2%83.6%
IV Percentile96.3%90.1%100.0%96.8%90.1%
Term Structure-2.4%-3.1%-1.6%-2.3%-2.3%
VWIV37.3%33.0%41.6%33.2%40.5%
Skew 25d5.3%3.9%6.3%4.4%5.0%
Skew 10d9.4%6.5%11.7%9.1%8.5%
Call IV 25d35.4%32.6%38.5%34.8%34.6%
Put IV 25d40.7%37.5%43.4%39.2%39.5%
Bid-Ask Spread %29.3218.9538.2318.9534.85
Gamma HHI0.050.030.090.050.07
Net GEX28.1M-69.1M166.4M41.3M166.4M
Net DEX-1.59B-3.16B-220.6M-2.82B-2.22B
Net VEX-13.6M-14.3M-12.9M-12.9M-13.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.631.671.220.80
Total Volume988,728.421520,3401,445,740914,560520,340
Total OI4,561,374.7373,274,2405,871,0204,919,4403,885,700

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$37.90$38.0037.1%9.4%21.8%87.2%33.2%4.4%-2.3%41.3M-2.82B-12.9M1.2218.95N/AN/A411,480503,0802,483,3402,436,100
2016-01-05$38.10$38.0036.5%9.4%21.5%84.8%33.6%3.9%-2.1%60.6M-3.16B-13.2M1.4219.58N/AN/A368,140522,7002,558,0802,516,820
2016-01-06$37.96$38.0037.1%9.5%21.3%87.0%33.3%4.5%-2.4%47.0M-2.92B-13.9M1.5321.14N/AN/A382,260584,9002,637,6402,620,940
2016-01-07$37.30$38.0039.7%10.1%22.1%97.8%35.4%5.2%-2.8%-27.1M-2.02B-13.5M1.0326.97N/AN/A608,340629,4802,700,9002,687,580
2016-01-08$36.46$38.0039.9%10.4%22.4%98.3%36.6%4.8%-3.1%-40.6M-1.12B-13.0M1.1325.38N/AN/A665,920750,5602,836,0202,746,300
2016-01-11$36.66$37.5038.3%10.1%22.5%92.1%35.3%4.9%-2.4%-7.6M-1.71B-13.3M1.6727.92N/AN/A486,640814,6802,706,8202,690,600
2016-01-12$37.38$37.5035.4%9.4%23.3%80.1%33.0%4.9%-2.3%40.7M-2.85B-13.6M1.1629.59N/AN/A462,800538,5802,796,3202,779,400
2016-01-13$36.01$37.5040.4%10.7%25.8%100.0%37.1%5.3%-3.1%-33.5M-1.18B-13.6M1.3338.23N/AN/A466,440619,5802,848,1002,804,540
2016-01-14$36.59$37.5037.7%10.2%26.7%89.1%35.7%5.3%-2.7%-683.3K-1.96B-13.5M1.2037.29N/AN/A539,400645,8802,940,8602,811,520
2016-01-15$35.49$37.2539.9%10.9%27.1%98.0%37.5%6.0%-2.8%-69.1M-660.5M-13.3M1.2728.69N/AN/A636,200809,5403,012,8002,858,220
2016-01-19$36.04$37.2538.8%11.0%28.0%93.7%38.2%5.3%-1.6%-12.2M-275.4M-13.5M0.7431.11N/AN/A408,260302,2401,711,0601,563,180
2016-01-20$35.96$37.0040.6%11.7%27.5%100.0%40.9%6.3%-2.2%-16.0M-220.6M-13.8M0.7330.10N/AN/A568,620416,3001,804,0401,647,700
2016-01-21$36.42$37.0039.7%11.5%28.0%96.1%39.6%6.1%-2.3%23.8M-863.2M-14.3M0.8227.86N/AN/A582,180477,5201,932,1401,738,420
2016-01-22$37.23$37.0037.4%10.9%29.1%86.8%38.2%5.8%-2.1%129.8M-1.89B-13.8M0.8829.43N/AN/A483,120424,0201,982,4001,798,500
2016-01-25$36.68$37.0039.0%11.8%29.4%93.2%40.2%5.7%-1.9%42.2M-1.03B-13.7M0.8931.23N/AN/A369,120326,8001,738,0201,604,460
2016-01-26$36.65$37.0037.2%11.4%29.4%86.0%38.5%5.9%-1.9%50.9M-1.01B-13.6M0.6531.98N/AN/A351,380227,2801,821,9201,669,740
2016-01-27$35.90$37.0039.1%12.2%28.8%93.7%41.6%5.9%-2.2%11.5M-326.3M-13.7M0.7833.45N/AN/A380,900297,9201,876,2801,711,080
2016-01-28$37.40$37.0037.4%11.7%32.3%87.0%40.8%5.2%-2.3%125.9M-1.88B-13.7M0.6333.34N/AN/A738,400464,8401,960,0601,748,520
2016-01-29$37.71$37.0036.6%11.6%32.5%83.6%40.5%5.0%-2.3%166.4M-2.22B-13.8M0.8034.85N/AN/A289,560230,7802,072,7401,812,960